EUR/CHF risk reversals slide to 4.5-month lows


EUR/CHF one-month 25 delta risk reversals (EUCH1MRR), a gauge of calls to puts on the Euro-Swiss Franc exchange rate, is currently trading at -1.22 in favor of puts - the lowest level early November. The gauge stood at -0.925 nine days ago. 

Put simply, demand or the implied volatility premium for the EUR/CHF put options (bearish bets) has increased sharply in the last few days - a sign the investors have positioned for strength in the Swiss currency. 

As of writing, EUR/CHF is trading at 1.1181, down 169 pips from the March 19 high of 1.1359. 

EUCH1MRR

 


 

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